[R-pkgs] "new" package sandwich 0.1-3
Achim.Zeileis at wu-wien.ac.at
Thu Aug 12 20:03:28 CEST 2004
here is the announcement for the next "new" package:
sandwich provides heteroskedasticity (and autocorrelation)
consistent covariance matrix estimators (also called HC
and HAC estimators).
The former are implemented in the function vcovHC() (which
was available in strucchange before - and independently
in hccm() in John Fox's car package).
And the latter are implemented in the function vcovHAC().
This implements sandwich-type estimators in a rather
flexible way, allowing for user-defined weights or
weight functions. It builds on some of the functionality
which was before available in Thomas Lumley's weave package
(not on CRAN). In particular it makes available the
class of WEAVE estimators introduced by Lumley & Heagerty (1999)
in the function weave() which is a convenience interface to
vcovHAC(). Furthermore, it implements the class of kernel
HAC estimators with automatic bandwidth-selection of
Andrews (1991) in the function kernHAC(), which is again a
convenience interface to vcovHAC().
Title: Robust Covariance Matrix Estimators
Author: Thomas Lumley, Achim Zeileis
Maintainer: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at>
Description: Model-robust standard error estimators for time series
and longitudinal data.
Depends: zoo, R (>= 1.5.0)
License: GPL version 2
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